Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0067
Annualized Std Dev 0.2738
Annualized Sharpe (Rf=0%) -0.0244

Row

Daily Return Statistics

Close
Observations 5486.0000
NAs 1.0000
Minimum -0.1961
Quartile 1 -0.0081
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0079
Maximum 0.1585
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0172
Skewness 0.0046
Kurtosis 11.4050

Downside Risk

Close
Semi Deviation 0.0121
Gain Deviation 0.0133
Loss Deviation 0.0128
Downside Deviation (MAR=210%) 0.0168
Downside Deviation (Rf=0%) 0.0120
Downside Deviation (0%) 0.0120
Maximum Drawdown 0.6225
Historical VaR (95%) -0.0250
Historical ES (95%) -0.0384
Modified VaR (95%) -0.0243
Modified ES (95%) -0.0263
From Trough To Depth Length To Trough Recovery
1999-02-04 2008-11-21 2016-06-23 -0.6225 4273 2444 1829
2016-07-25 2020-03-23 NA -0.4513 1173 922 NA
1999-01-11 1999-01-20 1999-02-02 -0.0562 16 7 9
2016-06-24 2016-06-29 2016-07-08 -0.0550 10 4 6
1999-01-06 1999-01-07 1999-01-08 -0.0337 3 2 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0 0 -1.2 -1.2 -1.2 -1.2 1.3 0 1.3 0 1.4 -0.8
2000 0 -1.4 1.4 1.4 1.4 -1.3 2.7 1.3 2.5 1.4 0 1.4 11.4
2001 3 1.6 4 -0.6 0.6 0.6 1 1.1 -2.5 1.6 1.9 -0.2 12.5
2002 -1.3 -1.7 1.2 0.8 -3.4 0 2.1 2.1 0.2 -1.3 -1.9 -0.4 -3.8
2003 1 -0.2 0.6 0 -1 -1.4 -1.9 1.3 -0.4 0 -0.2 1 -1.2
2004 -1.2 -1.4 -1 0.5 0.2 0 0 -0.2 -1.4 0.2 2.2 0.2 -1.9
2005 0 -1.8 0.7 -0.9 -1.1 0.7 -2.8 0.2 0 0.7 -0.5 -0.8 -5.4
2006 -0.7 0.5 0.8 0.5 1 0.8 0.5 0.8 -0.8 -1.4 -0.9 0.5 1.5
2007 1.7 0.2 -1 0 -0.7 0.8 1 0 -0.3 0.8 -1.5 0 1
2008 1 -1.9 -1.4 1 -0.2 0.3 1.3 0 2.6 0 6.4 1.9 11.2
2009 0 -5.7 0 0.8 1.4 -0.3 0.3 0 1.5 1.2 3.7 3.1 5.8
2010 0 2.2 -0.3 1.9 1.4 3.5 0.6 -1.1 1.8 0.5 1 -0.2 11.8
2011 -2.4 0.5 0 -2.2 0 2.6 3.4 0.7 -1.2 -2.6 0 0.5 -0.9
2012 -0.3 -0.7 2.3 1.2 -0.5 0.2 0 3.2 0.7 1.5 0.8 -0.5 8.2
2013 -0.8 -2.4 -2.3 0.2 0 0.8 0 0.7 0.5 0.3 0 -1.1 -4.1
2014 -1.3 -1 1.1 -0.3 -6.4 1.3 2.5 0 1.9 0.3 -4.1 0 -6.2
2015 2.6 -0.3 4 0.3 -0.6 6.2 2.7 0 -4.3 1.3 1.8 1.4 15.8
2016 -0.5 1.5 -1.2 -0.2 -0.8 1.1 -1.9 -1.1 -0.8 -1.3 -2 4.6 -2.7
2017 -1.1 -0.4 0.4 -0.2 -0.4 -0.4 0.8 0 0 0.4 0 -0.4 -1.3
2018 0.2 -0.2 2.3 0.5 0 1.2 -0.1 0.1 0.5 1.1 0 0.8 6.6
2019 -0.5 0.3 -1.8 -0.8 -0.8 1.3 -1.7 -2 -1.5 0.5 -0.9 0.7 -7.1
2020 -1.4 4.4 -2.8 -5.5 -0.2 2.1 -0.1 1 2 -1.2 0 -0.6 -2.9
2021 -0.5 1.6 1.7 NA NA NA NA NA NA NA NA NA 2.8

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Price Chart

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Rolling Performance Chart

Row

Snail Trail Chart